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Sorry, this option isn't included in vBulletin in order to help protect against denial of service attacks. However, you may still change the number of posts per page up to 100 through the 'edit options' section of My 2+2.

Why aren't threads with unread posts bolded?

By default only the thread title font will be in bold. However, you may choose to enable status colors through 'edit options' in My 2+2 if you want the boxes behind titles shaded. It's the setting at the bottom of the page.

Where did the (#) of unread posts go?

This feature isn't available in vBulletin because of how the software tracks your unread posts. Note that unread post marking is now actually consistent.